题目
Assume an investor has a position in a currency swap. He receives euro in exchange for paying yen. What are the conditions for the swap to be in-the-money? I The value of yen falls. II The value of yen rises. III The euro interest rate falls. IV The euro interest rate rises.
选项
A.I and III
B.I and IV
C.II and III
D.II and IV
答案
A
解析
The swap is similar to a long position in euro denominated bond and a short position in Yen denominated bond. Thus, decrease in euro interest rate is beneficial to a holder of a long position. Likewise, the decrease in the value of yen makes the yen denominated bond less valuable (what is beneficial for a short position).这种互换类似于做多欧元债券和做空日元债券。因此，欧元利率的下降对多头有利。同样，日元价值的下降会使日元计价债券的价值降低(这对做空有利)。